I haven’t updated any links in my blog but will gradually get there. I also changed the license to the very permissive MIT license, so you are free to use this as you wish (at your own risk… as always).

I also finally compile a help file again! I need to add some additional source comments, but the release files now contain a compiled chm file. Also every build is built on a build server finally, so dropping releases should be quicker.

I have one known bug where if you use the disconnect logic heavily you can run into issues – I will tackle this when I get a chance.

I am thinking of moving the library to google code or codeplex, so this may happen in the coming weeks. I have also been receiving a lot of requests for documentation, so I will look at building helpfiles again. I used to use sandbox, but their web documentation is asp.net, and this server is a linux machine, so I’ll see what I can do.

Also need to work on forums – some spam bot has taken over.

I also finally added parameterless constructors to all of the event args so that they can be serialized/deserialized.

Added the warrant type to securitytype.

Fixed orderId going to 2^31-1 when it should be interpreted as zero.

Check it out in subversion, or I will make another release soon.

As you can see in the above central box, our trading system abstracts several core functionalities.

• Settings Management – the entire trading system is configured via a straightforward xml configuration file. The actual storage and management of this is abstracted by the particular profile. For live running, these settings are version controlled and managed in a central replicated sql database. For simulation, these are stored as a simple file provided to a console based simulator. For optimization purposes, these files serve as the basis for chromosomes in the genetic optimizer (with an optimization file providing the constraints for the search space). At the end of the day, develop a simple generic settings management system that can be abstracted for different targets.
• Contract Manager / Base Contract – The core component of any system is the instrument that you are trading / measuring. The contract manager provides position management and risk management abstractions, as well as contract locating functionalities. Ultimately any object that requires a contract, goes through the contract manager, and is given an abstraction of a base contract. The base contract can be a futures contract, equity, bond etc. This provides for a universal interface to subscribe to market data, and issue / monitor orders.
• Strategy Engine / Base Strategies – The strategy engine is the very heart of any trading system. This basic class subscribes to message pumps and processes the messages to handle orders. It is the most versatile object in the trading system, allowing for nearly any type of strategy.
• Charting – Few systems put enough emphasis on thorough charting, but I find it critical for visualizing the results of a simulation, as well as determining what is happening during live trading. All contracts and strategies implement a simple IChartable interface that allows them to output highly configurable charts, right down to the Graphics handles. This allows the charts to be presented in a live windows forms view, or painted to a Bitmap class for saving to disk.
• Logging – At the end of the day, traceability is critical. Every trade made needs to be serialized to disk / database in order to reconcile with your clearing house. Furthermore, every strategy needs to output useful tracing information to aid in debugging. Beyond the obvious tracing, strategies also need to implement a reporting interface to provide live state information to the user interface in order to determine how it is behaving, and if necessary to modify its parameter set, or to debug the strategy. This again is abstracted, just like settings and charting to go to different destinations based on the target of the trading engine. For simulation it outputs to the simulation results, whereas in live trading we work against easily queried database engines.

Next up I want to cut into application design and multithreading. There is a lot to cover, and I am swamped, so expect the articles to continue to appear as I have time. And if you have any questions feel free to email email hidden; JavaScript is required.

Because of this website, nearly every automated trader I have met has started this way:

1. Manual trading with interactive brokers
2. Seeing a strange phenomena in the market
3. Building a simple widget to hook up to Ib
4. Exploiting the mispricing until their trading volume grows and they realize Ib does not negotiate fees and on a bum day auto liquidates your account without any notice.
5. Decides they need to go the institutional route, and figure out what their other options are.

This is exactly how I got started, and it is only after developing a full institutional system that I appreciated how good Interactive Brokers is, and why they can charge such a premium.

If you are still in steps 1 – 3, then you will want to stick with IB (in fact after step 5, for many people, sticking with IB will still be the right call). For those who have gotten to step 5, my next series of posts will cover your basic decision space.

Your first step is to get your requirements figured out. What contracts do you trade? Equities, Options, Futures, Bonds? Interactive Brokers is incredible in their support for cross asset class trading in a single account. Starting with them, it seems trivial to expect all clearing houses to let you short shares on the ASX and use your acquired buying power to buy futures on Eurex. This is simply not the case. Interactive Brokers provides both clearing services, and execution services. In institutional land these services are broken up, and the most important piece is partnering with the right clearing house.

Your clearing house determines which exchanges you can trade. They establish relationships with each exchange, and guarantee your trades. If you place a loosing bet in a leveraged account, you stand to loose more money than you have in the account, and if the clearing house mistakenly allows you to do this, they will have to cover your losses. I mentioned you have to choose your products, this is because if you want to trade futures on the LME and NYMEX, you will have to find a clearing house with relationships to both exchanges. Likewise if you would like to trade equities, you will need a clearing house that specializes in equities. Generally, clearing houses do not support all asset classes, and execution platforms certainly don’t. Example clearing houses are Advantage Futures, MF Global, NewEdge, Goldman Sachs etc.

So if clearing houses are the first piece of the puzzle, then execution platforms are the second. The clearing house will clear your trades and manage your account on behalf of an exchange, but to actually place trades, you will need an execution platform. For interactive brokers, this is their Trader Workstation front end, and their timberhill backend. In the futures market, there are a few major players, Trading Technologies, RTS (Real Time Systems Group), CQG, and Pats. These are the interfaces you will use to actually trade, and are generally all supported by the major clearing houses and exchanges, so you can use the same execution platform regardless of who you clear with.

The above diagram generally illustrates the basic relationship between the parties. What you will notice is that the only time money exchanges hands is at night. Intraday there is no relationship between your cash and your maximum position. That is strictly a risk management function of your clearing house. This is where your clearing house relationship becomes incredibly important. It is not uncommon for clearing houses to let you have much lower intraday margins than required by the exchange (how do you think velocity futures gives out $500 margin on intraday e-minis), but at night time the clearing house has to settle with the exchange. Here again, the clearing house will frequently lend you money to increase your margin , but in general over night is dangerous enough, no reason to over leverage it.

There is a lot more to this, but I want to cut to the technology. If you are going through this process, and want a lot more detail on the various fee structures and technology tradeoffs, please email hidden; JavaScript is required. I have worked with or thoroughly researched nearly every major futures clearing house and execution platform, as well as most of the equities options.

My next posts are going to continue to be overview posts, but I am particularly excited to cut to the technical / code, so stay tuned.

All of my prior interfaces with Ib have been for strictly self contained situations. Essentially where the program is placing orders and monitoring messages for the orders it has placed. I am now writing an interface to listen for any orders placed by any application or directly through the TWS interface. It appears I can use the RequestOpenOrders method with a clientId of -1 and receive all open orders at that moment in time, or I can use the RequestAutoOpenOrders to map TWS order messages to my client with a clientId of 0. But it does not appear there is any way to get all order updates from any target without constantly querying the open orders method.

Does anyone have a better way to do this?

If you have any problems, email hidden; JavaScript is required.

Download the release here, or go to the utilities page.

I also added an overload to RequestHistory which allows you to specify the duration to allow you to pass a string for duration directly to Ib.

If you have any problems, email hidden; JavaScript is required.

Download the release here, or go to the utilities page.

• I’m new to programming and I just don’t get your TestApp running. How exactly do I link to TWS ? Do I need to add any references or components from the IB API software?

In TWS you will need to goto Configure -> API -> Enable ActiveX and Socket Clients.
Next select Configure -> API -> All API Settings
In the window that appears, under Trusted IP Addresses, select Create, and add “127.0.0.1″ (The local machine) to the Trusted IP Addresses. Select OK, and you are good to go.

• 9.6.3.13 New Release – 7/20/09
• Update to Ib’s 9.63 api
• Add shortable tickType
• Fixes to ReadDecimal
• Fix 1 second barsize enum.
• Fixed Bug with IBClient.ReadDecimal()
• Fixed bug in ExecutionFilter

I also reorganized subversion to relink all of the files’ history, I had accidentally broken things when I first made the archive public.

This release has not gone through quite the normal scrutiny of my prior releases, but it was so overdue, I thought I’d get it out there, and if you have any problems, email hidden; JavaScript is required.

Download the release here, or go to the utilities page.

• If you stop maintaining your wrapper to the latest versions and the IB API changes to newer versions, how long will your existing C# API wrapper keep working?

Ib goes to great lengths to maintain backwards compatibility with old apis. If you look at their api code, it is clearly version controlled by the method, and I wouldn’t be surprised if code from many years ago still works.

As an example, I have been running an API app I wrote in Jan / Feb of 2008 every day since without updating the api once and have had no problems.

• If you stop maintaining your wrapper to the latest versions, would you possibly update it for a small fee? (I am not rich, just trying my hand to get rich!)  I would hate to lose all the effort into coding this ATS.

Always a possibility, but it is my intent to keep updating it for free. I’ve become somewhat less reactive to Ib version updates because each update adds relatively obscure features, and since compatibility is always maintained, it is not super urgent. That being said, I will get myself caught up here shortly, and continue to update to the latest version.

• Has your wrapper matured over time and currently working well?  No inherent hard to debug problems?  (Sorry for my asking but my Delphi friend has many of these!)  I noticed your excellent forum for help.

Good question, it certainly has matured. Occasionally some parsing bugs have been pointed out, specifically with my use of decimals, but I address those quickly with updates to subversion, and changes get rolled into the next release.

Let me know if you have any other general questions and I will create an FAQ page.

This will also make it easier for users to generate patches against the Api, and if anyone is interested in becoming a contributor, I am certainly open to it. Drop me a email hidden; JavaScript is required.

I just downloaded the latest VS2010 Beta 1 to play with, and am contemplating making breaking changes to the library that use C# 3.5 features. How important is VS 2005 support to people? Is everyone running VS2008 or later? Or do I need to maintain the 2005/C# 2.0 backwards compatibility?

Let me know in the comments, I will be steadily making changes here.

I also made a large update to the event handler framework to make the calls thread safe now.

Please download it directly here or from the utilities page here.

In any case, this release has incorporated all of the changes with IB’s 9.51 release, the decimal conversion, and a series of bug fixes.

As always, goto the utilities page to download here, or download directly from here.

9.4.0.9 Bug Fix and Clean up – 2/10/09

• Made all EventArgs Serializable as well as the new enumeration FATypes.
• Fixed bug in OrderType.MarketOnClose – changed Description from "MKTCLS" to "MOC"
• Fixed RequestExecution method to allow you to pass a null or empty filter to get all executions.
• Changed HistoricalRequest Response. Added two parameters to the event args that lets the user know how far the download is. Also no longer calls function after download completed with null entries, since you can determine that the call is complete by the Record Number / Record Count properties.
• Made EnumDescConverter Static, as all methods were static.

As usual, download it from the utilities page here, or directly here.

Please note this release has breaking changes, not to functionality, but you will have to update your events and function calls to the correctly spelled equivalents.

• 9.4.0.8 Code Clean up – 1/31/09
  • Ran Vs2008 Code Analysis Wizard / FxCop and implemented cleanup
    • Numerous Spelling Changes
      • All Mkt references went to Market
      • All Req references went to Request etc.
      • All Lmt references went to Limit
      • All Indice references went to index
    • Added a lot of CultureInfo related fixes, making sure to provide invarient parsing
  • Fixed VB Client, used old contracts, and changed contract references to equity/future

As always, please go to the utility page here to get the latest release, or directly from here.

The following is the change log from the release notes

• 9.4.0.7 Bug Fix Release – 1/26/08
  • Changed FAMethod to Enumeration
  • Changed OrderState.Status to enumeration
  • Fixed several data parsing problems related to empty strings
  • Added Visual Studio 2008 solution, all files are still C# 2.0 compliant.

As I mentioned above, I now develop in Visual Studio 2008 against .net 3.5, but have been careful to keep this library C# 2.0 compliant. Let me know what platform you are using, if everyone has switched to .net 3.5, I may consider using new feature in future releases.

Without further ado, goto the utilities page to download the latest version or download directly from here.

• 9.4.0.6 API and Bug Fix Release – 12/9/07
  • Updated to support 9.40 Interactive Brokers API Release
    • What-If Order Support
    • Commission Data
    • Contract/Contract Details Refactored
  • Fixed Historical Request 1 day limitation
  • Changed TickSizeEvent Args to use TickType instead of TickerType
  • All Enums / Container classes are now marked serializable
  • Fixed bug on Stop Limit Orders "STPLMT" -> "STP LMT"

As always please post on the forums if you find any issues, or email hidden; JavaScript is required with any questions.

Please precede to download from the utilities page, or directly here.

Please download release 9.3.0.3 here.

I chose to make the RightType enumeration translate to "PUT" and "CALL". A bug report from the yahoo forums illustrated that this is no longer true, and that "P" and "C" are the only accepted values.

Please download the bug fix versions

9.2.0.2 and 9.1.0.2

Both also available under utilities.

Changes

The beta API adds support for five second bars (similar API to the request historical bars), adds two new tick types, Shortable and Last Timestamp, adds a new current timestamp method, and updates the order status event to add a whyHeld field. The release notes are available from Interactive Brokers here.

I have updated the online documentation to the 9.20 release at http://ibhelp.dinosaurtech.com.

I have also included a Visual Basic sample with this release. The C# client module is fully CLR compliant, and can be accessed from any language.

Download

So without further ado, download the latest release here.

Please submit any issues on the forums, or email me at email hidden; JavaScript is required.

Why did you do this?

I’m sure many of you are wondering why I would spend so much time on this, when Interactive Brokers now makes a .net version available through their J# compiler. The reasons are many, but mainly the J# component breaks a lot of C# design rules, and is poorly documented. My port places the documentation inline, so Visual Studio will bring up the messages, and so you are not working with cryptic const values.

Support / Stability

I plan to simultaneously support two C# clients, corresponding to the latest release of the TWS API as well as the TWS Beta API. My assembly versions will match the TWS API with an additional revision to correspond to my changes. For example, this initial release’s version is 9.1.0.1 corresponding to TWS API 9.10 and my release version 1. Please note that this is release version 1. I am considering this an alpha release as I have mechanically ported and cleaned up a lot of the code, but have not thoroughly tested every function yet.

License

The source is free for you to use in any application you like. I ask, but do not require, you to give me credit and a link back if you like it. I also ask, but do not require that if you improve the library, or find any problems that you send me your changes / problem report, so I can continue to make this better. I want to be clear that I do not hold any liability or responsibility for any use / content of this code.

Documentation

I have published MSDN style documentation from generated from the library at http://ibdoc.dinosaurtech.com. This documentation was populated from Interactive Broker’s User Guide, and notes from the IB Yahoo Forum and was generated using Microsoft Sandcastle with DocProject. I will continue to revise it on feedback from users, and as I find room for improvement.

Forum

I have created a forum, where I would like to collect problem reports / feature requests at http://www.dinosaurtech.com/forums/ and ask that any users register and provide feedback there. I will try to be very responsive, and incorporate your feedback.

Credits

This library is a port of the Interactive Brokers Java library, so of course I would like to credit the interactive broker’s developers for their API. I also used code from an article by Javier Compos "Description Enum TypeConverter" in order to transform the ugly consts to pretty enumerations with overridden ToString() functions.

Downloads

• Version 9.1.0.1 Library – July 8, 2007 – Alpha – Corresponds to IB API 9.10
• Documentation

Please note that I will maintain the latest on my utilities page.